Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0255
Annualized Std Dev 0.2901
Annualized Sharpe (Rf=0%) -0.0880

Row

Daily Return Statistics

Close
Observations 4653.0000
NAs 1.0000
Minimum -0.2900
Quartile 1 -0.0043
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0046
Maximum 0.4444
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0183
Skewness 2.4821
Kurtosis 122.9118

Downside Risk

Close
Semi Deviation 0.0126
Gain Deviation 0.0168
Loss Deviation 0.0166
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.8358
Historical VaR (95%) -0.0173
Historical ES (95%) -0.0398
Modified VaR (95%) NA
Modified ES (95%) -0.2429
From Trough To Depth Length To Trough Recovery
2004-04-01 2009-03-09 NA -0.8358 4272 1242 NA
2003-07-09 2003-08-04 2004-01-12 -0.1227 130 19 111
2002-10-01 2002-11-22 2003-02-03 -0.0698 86 39 47
2003-02-11 2003-03-21 2003-04-29 -0.0495 54 28 26
2004-01-22 2004-02-24 2004-03-08 -0.0248 32 23 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA -0.5 -0.1 -0.8 0 -1.3
2003 0 0.3 0 0 0.6 0.4 -1.8 -0.2 0.7 0.7 0 0.1 0.8
2004 0.4 0.4 -0.4 1.2 0.7 1.1 0.6 -0.3 0.4 0 0.1 0.3 4.6
2005 0.4 0.1 0.1 1.1 0.3 0.3 -0.3 -0.1 0.3 -0.5 1.8 1.1 4.6
2006 0.8 0.1 0.1 -0.4 0.4 0.7 0.2 -0.1 0.5 -0.3 0.4 0.8 3
2007 0.3 -1 0.1 0.4 0.1 0.6 -1.1 1.9 0.8 -0.2 3.4 -0.9 4.4
2008 0.5 -1.5 1.8 1.1 0 0.4 0.3 1.7 0.7 4.2 -3 2.6 9.2
2009 -1.6 -2.8 2.5 5.5 3.1 0.3 1.8 -4.1 0.4 0 1.6 0.3 6.9
2010 -0.7 0.9 0.3 -0.4 0 -0.5 0.8 -0.1 -0.2 -0.4 -0.5 0.1 -0.8
2011 0.6 0.2 -0.7 -0.1 -2.1 0.4 1.5 0 -2.2 -0.5 0.3 -0.3 -2.9
2012 -0.1 -0.8 -1.3 0.7 -0.3 0.2 2.9 0.1 1.3 1.2 -0.3 3.6 7.2
2013 0.5 -0.7 -0.2 -0.1 -2.4 0.7 -0.1 0.7 -0.2 -0.4 0.2 0.1 -1.8
2014 0.2 0.1 0.9 0.2 0.9 0.3 0 0.2 0.1 -0.2 0 -0.2 2.6
2015 0.4 0.5 0.5 0.1 0 0.5 0.9 -0.1 0.1 1.1 0.4 0.6 5.2
2016 1.4 -0.1 -0.2 0.4 0.4 0.8 -0.3 -0.1 0.5 -0.3 -1.7 0.1 0.9
2017 0 -0.2 0.4 0.2 0.4 0.4 0.5 0.6 0.5 0.4 0.6 0 3.8
2018 -0.3 0.3 2 0.3 0.5 0.2 0 -0.1 -1.3 0.2 0.8 0.1 2.9
2019 -0.7 0.7 1.1 -0.2 -1.4 0.2 -0.1 0.1 0.5 0.5 0 0.7 1.4
2020 -0.7 -4.1 -7.7 -1.8 0.1 1.9 0.6 -0.4 1.1 -0.1 1.1 0.9 -9.2
2021 0.3 0.9 -0.1 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart